Link skills are skills that certain classes have and they get to give a character in the same world and on the same account the skill while keeping it (If you link a skill, both characters, the one who is linking and the one who gains the link have the buff). In order to link it however, you must be level 70 as the job. Cygnus Knights and their Blessing or even Explorers and their blessing aren't exactly 'link skills' but will be discussed.

Both of these have a simple function.
Blessing of the Fairy is for Explorers, Resistance, Novans, Heroes and the rest that are not Cygnus.
Empress' Blessing is well, as you guessed for Cygnus Knights! They are passive boosts which add ATK, MATK, Avoid and Accuracy according to level.
Cygnus Knight's increase their Blessing every 5 levels up to level 24 and then you have to increase the last 6 levels with a fake Arkarium run only with other Cygnus Knights.
Blessing of the Fairy maxes out at 20, increasing the level every 10 levels.

In KMS, they just added an update where you can only have up to 12 Link Skills.
Currently, in total there are only 11 Links in GMS.
18 Links are in KMS (This includes Xenon, DA and all 5 Cygnus Revamped)
I suggest everyone to get Kanna (and Demon Avenger), Luminous and Xenon those are the only four that everyone really should get.
Demon Slayer is only if you boss a lot along with Cygnus Knights because of seduce and all those bad debuffs.

It's obvious, all classes still need boss (if you boss of course), PDR, total damage, etc. Mercedes is optional, people who like to do things fast will use it (training and travelling), people who like challenge won't.

Kaiser and Cannoneer are great for jobs like Buccaneer because they have a considerable amount of HP already, Angelic Burster is good for Corsair and Mechs as they have Rapid Fire and can deal a good DPS in the amount of time AB's link lasts.